共查询到20条相似文献,搜索用时 31 毫秒
1.
We study the well-posedness of general reflected BSDEs driven by a continuous martingale, when the coefficient f of the driver has at most quadratic growth in the control variable Z, with a bounded terminal condition and a lower obstacle which is bounded above. We obtain the basic results in this setting: comparison and uniqueness, existence, stability. For the comparison theorem and the special comparison theorem for reflected BSDEs (which allows one to compare the increasing processes of two solutions), we give intrinsic proofs which do not rely on the comparison theorem for standard BSDEs. This allows to obtain the special comparison theorem under minimal assumptions. We obtain existence by using the fixed point theorem and then a series of perturbations, first in the case where f is Lipschitz in the primary variable Y, and then in the case where f can have slightly-superlinear growth and the case where f is monotonous in Y with arbitrary growth. We also obtain a local Lipschitz estimate in BMO for the martingale part of the solution. 相似文献
2.
In a recent paper, Soner, Touzi and Zhang (2012) [19] have introduced a notion of second order backward stochastic differential equations (2BSDEs), which are naturally linked to a class of fully non-linear PDEs. They proved existence and uniqueness for a generator which is uniformly Lipschitz in the variables y and z. The aim of this paper is to extend these results to the case of a generator satisfying a monotonicity condition in y. More precisely, we prove existence and uniqueness for 2BSDEs with a generator which is Lipschitz in z and uniformly continuous with linear growth in y. Moreover, we emphasize throughout the paper the major difficulties and differences due to the 2BSDE framework. 相似文献
3.
It is shown that if a sequence of open n-sets Dk increases to an open n-set D then reflected stable processes in Dk converge weakly to the reflected stable process in D for every starting point x in D. The same result holds for censored α-stable processes for every x in D if D and Dk satisfy the uniform Hardy inequality. Using the method in the proof of the above results, we also prove the weak convergence of reflected Brownian motions in unbounded domains. 相似文献
4.
A semicomplete multipartite or semicomplete c-partite digraph D is a biorientation of a c-partite graph. A semicomplete multipartite digraph D is called strongly quasi-Hamiltonian-connected, if for any two distinct vertices x and y of D, there is a path P from x to y such that P contains at least one vertex from each partite set of D. 相似文献
5.
In this paper, we analyze a real-valued reflected backward stochastic differential equation (RBSDE) with an unbounded obstacle and an unbounded terminal condition when its generator f has quadratic growth in the z-variable. In particular, we obtain existence, uniqueness, and stability results, and consider the optimal stopping for quadratic g-evaluations. As an application of our results we analyze the obstacle problem for semi-linear parabolic PDEs in which the non-linearity appears as the square of the gradient. Finally, we prove a comparison theorem for these obstacle problems when the generator is concave in the z-variable. 相似文献
6.
In many applications it has been observed that hybrid-Monte Carlo sequences perform better than Monte Carlo and quasi-Monte Carlo sequences, especially in difficult problems. For a mixed s-dimensional sequence m, whose elements are vectors obtained by concatenating d-dimensional vectors from a low-discrepancy sequence q with (s−d)-dimensional random vectors, probabilistic upper bounds for its star discrepancy have been provided. In a paper of G. Ökten, B. Tuffin and V. Burago [G. Ökten, B. Tuffin, V. Burago, J. Complexity 22 (2006), 435–458] it was shown that for arbitrary ε>0 the difference of the star discrepancies of the first N points of m and q is bounded by ε with probability at least 1−2exp(−ε2N/2) for N sufficiently large. The authors did not study how large N actually has to be and if and how this actually depends on the parameters s and ε. In this note we derive a lower bound for N, which significantly depends on s and ε. Furthermore, we provide a probabilistic bound for the difference of the star discrepancies of the first N points of m and q, which holds without any restrictions on N. In this sense it improves on the bound of Ökten, Tuffin and Burago and is more helpful in practice, especially for small sample sizes N. We compare this bound to other known bounds. 相似文献
7.
Let G be a group. Any G-module M has an algebraic structure called a G-family of Alexander quandles. Given a 2-cocycle of a cohomology associated with this G-family, topological invariants of (handlebody) knots in the 3-sphere are defined. We develop a simple algorithm to algebraically construct n-cocycles of this G-family from G-invariant group n-cocycles of the abelian group M. We present many examples of 2-cocycles of these G-families using facts from (modular) invariant theory. 相似文献
8.
A tournament of order n is usually considered as an orientation of the complete graph Kn. In this note, we consider a more general definition of a tournament that we call aC-tournament, where C is the adjacency matrix of a multigraph G, and a C-tournament is an orientation of G. The score vector of a C-tournament is the vector of outdegrees of its vertices. In 1965 Hakimi obtained necessary and sufficient conditions for the existence of a C-tournament with a prescribed score vector R and gave an algorithm to construct such a C-tournament which required, however, some backtracking. We give a simpler and more transparent proof of Hakimi’s theorem, and then provide a direct construction of such a C-tournament which works even for weighted graphs. 相似文献
9.
Let T be a tree with s ends and f,g be continuous maps from T to T with f°g=g°f. In this note we show that if there exists a positive integer m≥2 such that gcd(m,l)=1 for any 2≤l≤s and f,g share a periodic point which is a km-periodic point of f for some positive integer k, then the topological entropy of f°g is positive. 相似文献
10.
Let E be a real Banach space, C be a nonempty closed convex subset of E and T:C→C be a continuous generalized Φ-pseudocontractive mapping. It is proved that T has a unique fixed point in C. 相似文献
11.
Let X be a (real) Banach space, A be a subset of X and x∉A. We present cone-separation in terms of separation by a collection of linear functionals defined on X and obtain necessary and sufficient conditions for cone-separability A and x. Also, we give characterizations for star-shaped separability. Finally, as an application of separability, we characterize best approximation problem by elements of star-shaped sets. 相似文献
12.
We show that in a contest with a single prize, the expected effort made by the kth highest valuation participant bounds the sum of the expected efforts made by all of the participants with valuations less than the kth highest valuations. We also show that in the limit case of a contest with m prizes, the expected effort made by the kth highest valuation participant when the bidders are risk-neutral is greater than the expected effort in the risk-averse case. 相似文献
13.
A d-arc-dominated digraph is a digraph D of minimum out-degree d such that for every arc (x,y) of D, there exists a vertex u of D of out-degree d such that (u,x) and (u,y) are arcs of D. Henning and Yeo [Vertex disjoint cycles of different length in digraphs, SIAM J. Discrete Math. 26 (2012) 687–694] conjectured that a digraph with minimum out-degree at least four contains two vertex-disjoint cycles of different length. In this paper, we verify this conjecture for 4-arc-dominated digraphs. 相似文献
14.
In this paper, we establish an oscillation estimate of nonnegative harmonic functions for a pure-jump subordinate Brownian motion. The infinitesimal generator of such subordinate Brownian motion is an integro-differential operator. As an application, we give a probabilistic proof of the following form of relative Fatou theorem for such subordinate Brownian motion X in a bounded κ-fat open set; if u is a positive harmonic function with respect to X in a bounded κ-fat open set D and h is a positive harmonic function in D vanishing on Dc, then the non-tangential limit of u/h exists almost everywhere with respect to the Martin-representing measure of h. 相似文献
15.
In this paper we study backward stochastic differential equations (BSDEs) driven by the compensated random measure associated to a given pure jump Markov process X on a general state space K. We apply these results to prove well-posedness of a class of nonlinear parabolic differential equations on K, that generalize the Kolmogorov equation of X. Finally we formulate and solve optimal control problems for Markov jump processes, relating the value function and the optimal control law to an appropriate BSDE that also allows to construct probabilistically the unique solution to the Hamilton–Jacobi–Bellman equation and to identify it with the value function. 相似文献
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A hidden Markov model (HMM) is said to have path-mergeable states if for any two states i,j there exist a word w and state k such that it is possible to transition from both i and j to k while emitting w. We show that for a finite HMM with path-mergeable states the block estimates of the entropy rate converge exponentially fast. We also show that the path-mergeability property is asymptotically typical in the space of HMM topologies and easily testable. 相似文献
19.
We show that, for any compact Alexandrov surface S (without boundary) and any point y in S, there exists a point x in S for which y is a critical point. Moreover, we prove that uniqueness characterizes the surfaces homeomorphic to the sphere among smooth orientable surfaces. 相似文献
20.
We extend some known results on radicals and prime ideals from polynomial rings and Laurent polynomial rings to Z-graded rings, i.e, rings graded by the additive group of integers. The main of them concerns the Brown–McCoy radical G and the radical S, which for a given ring A is defined as the intersection of prime ideals I of A such that A/I is a ring with a large center. The studies are related to some open problems on the radicals G and S of polynomial rings and situated in the context of Koethe’s problem. 相似文献